P(A∩B) = P(A)P(B|A) E[X] = Σx·P(x) Var(X) = E[X²] - (E[X])² Z = (X - μ) / σ χ² = Σ(O-E)²/E F = s₁²/s₂² t = (x̄ - μ)/(s/√n) r = Cov(X,Y)/(σₓσᵧ)
RSI = 100 - 100/(1+RS) MACD = EMA₁₂ - EMA₂₆ %K = (C-L₁₄)/(H₁₄-L₁₄)×100 ATR = (1/n)Σ|H-L| CCI = (TP - SMA)/(.015×MD) Williams %R = (H₁₄-C)/(H₁₄-L₁₄) ROC = (P₁ - Pₙ)/Pₙ × 100 OBV = ΣV × sign(ΔP)
ROE = NI / SE ROA = NI / TA D/E = TD / TE P/E = Price / EPS EV/EBITDA = EV / EBITDA FCF = OCF - CapEx ROIC = NOPAT / IC EPS = (NI - PD) / WAS
σₚ² = w'Σw SR = (Rₚ - Rf) / σₚ β = Cov(Rᵢ,Rₘ) / Var(Rₘ) IR = αₚ / σ(εₚ) VaR = μ - zα × σ ES = E[R | R ≤ VaR] MDD = max(DD) Calmar = CAGR / MDD
PV = FV / (1+r)ⁿ FV = PV × (1+r)ⁿ PMT = PV × [r(1+r)ⁿ]/[(1+r)ⁿ-1] NPV = Σ[CFₜ/(1+r)ᵗ] - I₀ IRR: 0 = Σ[CFₜ/(1+IRR)ᵗ] MIRR = ⁿ√(FVₚ/PVₙ) - 1 PI = PV(CI) / PV(CO) DPP = I₀ / CF̄
C = S₀N(d₁) - Ke⁻ʳᵀN(d₂) P = Ke⁻ʳᵀN(-d₂) - S₀N(-d₁) Δ = ∂V/∂S Γ = ∂²V/∂S² θ = ∂V/∂t ν = ∂V/∂σ ρ = ∂V/∂r λ = ∂V/∂q
Y = α + βX + ε R² = 1 - SSR/TSS β̂ = (X'X)⁻¹X'Y DW = Σ(eₜ-eₜ₋₁)²/Σeₜ² AIC = 2k - 2ln(L) BIC = k·ln(n) - 2ln(L) JB = (n/6)[S² + (K-3)²/4] LM = n·R²
ARIMA(p,d,q) φ(L)Δᵈyₜ = θ(L)εₜ ACF(k) = γₖ/γ₀ PACF = φₖₖ GARCH: σₜ² = ω + αε²ₜ₋₁ + βσ²ₜ₋₁ EGARCH: ln(σₜ²) = ω + α|εₜ₋₁| VAR: Yₜ = Φ₁Yₜ₋₁ + εₜ VECM: ΔYₜ = αβ'Yₜ₋₁ + εₜ
MSE = (1/n)Σ(yᵢ - ŷᵢ)² RMSE = √MSE MAE = (1/n)Σ|yᵢ - ŷᵢ| R² = 1 - SS_res/SS_tot Precision = TP/(TP + FP) Recall = TP/(TP + FN) F1 = 2·(P·R)/(P + R) AUC-ROC = ∫TPR dFPR
RWA = Σ(Aᵢ × RWᵢ) Tier 1 = CET1 + AT1 LCR = HQLA / NCOS NSFR = ASF / RSF PD = P(default) LGD = 1 - RR EAD = CCF × UL + DB EC = EAD × PD × LGD
QuantPerks
Market Closed

Enhanced Momentum Screener

Find stocks with strong momentum patterns using Yang-Zhang volatility adjustment and risk-based scoring

Screening Parameters

Uses Yang-Zhang volatility adjustment and multi-horizon analysis
Range: $250M+
Algorithm uses multiple horizons (1, 3, 6 months) with weighted scoring
Top stocks by risk-adjusted momentum score

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Configure your parameters and run the enhanced screener to see results.

About Enhanced Momentum Strategy

This enhanced momentum screener uses advanced risk-adjustment techniques to identify stocks with superior momentum characteristics while accounting for volatility.

Key Enhancements:

  • Yang-Zhang Volatility: Uses OHLC data for more accurate volatility estimation compared to close-to-close methods
  • Multi-Horizon Analysis: Combines 1, 3, and 6-month momentum signals with intelligent weighting
  • Risk Adjustment: Momentum scores are divided by volatility to identify true risk-adjusted outperformers
  • Trend Consistency: Boosts signals that show consistent momentum across different time horizons
  • Statistical Validation: Includes significance testing to filter out random fluctuations

Advantages over Simple Momentum:

  • Better risk-return profiles by penalizing high-volatility momentum
  • More robust signals using OHLC data instead of just closing prices
  • Reduced false positives through statistical significance testing
  • Adaptive to different market regimes and volatility environments

Disclaimer: Past performance is not indicative of future results. Enhanced momentum strategies may experience periods of significant drawdowns, particularly during market regime changes. Yang-Zhang volatility estimates are more accurate but still subject to model limitations. Always perform your own due diligence before making investment decisions.